“I would not bring any Muslims or Sudanese into the country, I would put a ban on that. And any of them that commit a crime I would be shipping them home to where they came from.” - Senator Fraser Anning. #9Todaypic.twitter.com/L2fIhWbNn6

"There were decent Australian people who demonstrated their dislike for what the Australian Government has done, which is allow these people to come into our country and then bash people at random on their beaches and in their homes," he said.

But Vella hit back at his comments asking: "You claim people giving the Nazi salute are decent Australians?"

Mr Anning appeared to distance himself from some at the rally, saying the people he was with weren't performing any Nazi salutes.

"There was a group about 100m down the road and I could hear all the yelling and screaming … I can absolutely guarantee you no one in the group that I was with was doing anything like that," he said.

Vella noted Mr Anning at the protest stood side-by-side with United Patriots Front founder Blair Cottrell, who has said a picture of Adolf Hitler should be in every classroom, asking: "Do you support those views?"

Mr Anning said it was the first time he had met Mr Cottrell, who helped organise the rally, and "obviously I don't support any views like that".

"I'm a supporter of the Jewish community and I fight hard for the Israelis as everyone knows.

"Who was there at that meeting was irrelevant."

Lara Vella interviews Senator Fraser Anning.

He said most of the people he met at the rally, including members of the Vietnamese community, were very concerned about the Sudanese gangs.

But Vella fired back, saying: "Are you seriously saying the people who were at this event are irrelevant?"

Mr Anning said: "That's right, people that I met were all decent Australian working people who are fed up with what the Government is allowing to happen in this country."

Mr Anning travelled to the rally in Melbourne from Queensland at taxpayers' expense, and has justified this by saying Queenslanders were also concerned about Sudanese gangs as the violence was spreading to the northern state.

He also said he didn't want to see any more Sudanese or Muslim people in Australia.

"I would not bring any more Muslims or Sudanese into the country," he said. "I would put a ban on that and any of them that commit a crime, I would be shipping them home to where they came from."

Vella said Mr Anning seemed to have an obsession with Muslim migrants and members of the Sudanese community here in Australia.

"Surely we should be celebrating how rich our multicultural community is rather than (using) that divisive language. You've said yourself that you have no chance of being re-elected. Are you simply using this kind of rhetoric to gain publicity?"

Mr Anning said: "Not at all. I listen to the Australian people … hardworking people who are fed up with having these people come into our country and live on our welfare and then attack us."

"The Australian people have had enough of being attacked by the people that they're feeding.

As the interview came to a close, Vella asked him bluntly: "Senator, do you consider yourself a racist?"

Mr Anning replied: "Of course not."

Vella concluded with a pointed comment: "Certainly your comments have been making headlines and that seems clearly what you wanted - publicity."

Mr Anning needs more than 400,000 votes at the next election to win back his Senate seat, which he has acknowledged is not likely without the support of a political party.

The senator now sits as an independent after being booted from the Katter Australia Party following his defection from Pauline Hanson's One Nation.

Several hundred people attended, which Cottrell and Erikson said was a response to recent incidents in which youths have mugged people along the bay.

At the same time, anti-racism protesters also demonstrated, the two groups being kept apart by police.

Three people were arrested on Saturday at the duelling rallies.

Mr Anning uploaded several videos on Facebook with Cottrell, posing for photos and making inflammatory remarks about migration.

Deputy Labor leader Tanya Plibersek said the senator's attendance at the rally was "disgusting".

"I think the vast majority of Australians would be disgusted to think their taxes are paying for an Australian senator to attend an event which seeks to divide, not unite our country," she told reporters in Sydney on Sunday.

While Prime Minister Scott Morrison took to Twitter to blast the "ugly racial protests", he was silent on Mr Anning.

Mr Morrison thanked the hundreds of Victorian police on hand for Saturday's event, while calling Australia the most successful migrant country in the world.

"This has been achieved by showing respect for each other, our laws and values and maintaining sensible immigrations policies," he tweeted.

Labor leader Bill Shorten condemned the event on Twitter but was also silent on Mr Anning.

However Treasurer Josh Frydenberg laid the boot in.

"Fraser Anning's appearance was unacceptable and he should not have participated in this divisive event," the senior Jewish MP told reporters. He also labelled the use of the Nazi salute as "particularly repugnant and abhorrent".

Mr Frydenberg said it was up to the independent parliamentary entitlements authority as to whether it was an official parliamentary duty expense.

Independent Wentworth MP Kerryn Phelps said the rally should be called out for being a "demonstration by a neo-Nazi group".

Greens Senator Sarah Hanson-Young said the government should refuse to take Mr Anning's vote after his involvement.